Time-Inconsistent Recursive Stochastic Optimal Control Problems
Optimization and Control
2016-06-13 v1
Abstract
In this paper, we study a time-inconsistent stochastic optimal control problem with a recursive cost functional by a multi-person hierarchical differential game approach. An equilibrium strategy of this problem is constructed and a corresponding equilibrium Hamilton-Jacobi-Bellman (HJB, for short) equation is established to characterize the associated equilibrium value function. Moreover, a well-posedness result of the equilibrium HJB equation is established under certain conditions.
Cite
@article{arxiv.1606.03330,
title = {Time-Inconsistent Recursive Stochastic Optimal Control Problems},
author = {Qingmeng Wei and Jiongmin Yong and Zhiyong Yu},
journal= {arXiv preprint arXiv:1606.03330},
year = {2016}
}